I want to calculate option prices based on a realistic distribution of the underlying. The underlying is a liquid index such as Eurostoxx50. I think of two aproaches, both of them incorporate ...
Closed form european option prices for a variance gamma process with a randomly distributed drift, volatility, and variance rate
Does an option pricing model with a closed form European option price exist that takes into account randomly distributed drift, volatility, and variance rate? I prefer a modification to the variance ...
What is the general consensus for using a Cauchy distribution to model stock prices? I can't find much after researching online and wonder if it has been tried and discarded. My motivation is to find ...